相对价格、收入预期与中国的经常账户波动——基于两部门跨期消费视角的实证研究  

Relative Prices,Income Expectation and China's Current Account Dynamics:Empirical Analysis Based on A Two- sector Intertemporal Consumption Model

作　　者：刘红忠[1] 秦泰[2] 

机构地区：[1]复旦大学经济学院,上海200433 [2]海通证券股份有限公司,上海200001

出　　处：《金融研究》2015年第9期34-49,共16页Journal of Financial Research

基　　金：国家自然科学基金项目(71473041);复旦大学985课题"国际收支与人民币汇率研究";复旦大学研究生创新基金项目"中国经常账户余额跨期均衡研究"的资助

摘　　要：本文采用经常账户跨期分析法(Intertemporal Approach),分析实际汇率等相对价格变动对居民最优消费路径的期内替代和跨期替代效应,以及由此造成的对经常账户的影响,并对这种潜在影响的方向和程度进行实证检验。本文采用创新的方法构造我国季度宏观数据,并针对我国实际情况对模型参数进行估计,增强了实证分析的稳健性和针对性。估计结果显示,我国居民的跨期替代弹性约为0.16,包含相对价格因素的跨期均衡模型对我国经常账户的波动具有相当程度的解释能力;预期收入变动和实际汇率等相对价格因素对最优消费路径的共同作用——特别是实际汇率变动带来的期内替代效应——是导致2005年以来我国经常账户顺差与人民币升值幅度之间同向波动的重要原因。In this paper, we construct a two -sector intertemporal framework to analyze the intertemporal and intratemporal substitution effects of real exchange rate and interest rate on the optimal consumption of representative agents. Then the impacts of these effects on the current account are examined empirically. A new method of seasonal data construction is employed and key parameters are estimated based on China＇s data, which increase the robustness of the empirical research. It is shown that the elasticity of intertemporal substitution （EIS） in China is about 0. 16, and that the intertemporal framework with relative prices could explain China＇s current account dynamics to a great extent. The results indicate that the effects of changes in expected income and relative prices on the optimal consumption choices--particularly the intratemporal substitution effect of real exchange rate--is an important determinant of the co - movement of China＇s current account surplus and RMB appreciation since 2005.

关 键 词：经常账户 跨期分析模型 实际汇率 期内替代效应 

分 类 号：F832.6[经济管理—金融学] F224F752.6